Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, … - In: Journal of Empirical Finance 22 (2013) C, pp. 113-127
This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) — the Fama–French factors. C-CAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on...
